Thanks a lot for the positive feedback regarding the course! I really appreciate it.
Today, I would like to share Lecture no 2 part 1 (out of 3). Lecture no 2 is very important in building up the basis for the follow-up materials, and ultimately it is a key to understanding and implementing both xVA and VaR engines.
Lecture slides and additional materials you can find in the link in the video’s description.
In today’s lecture we will cover the following subjects:
– Conditional Expectations
– Conditional Expectations and implementation in Python
Lecture 1- Introduction and Overview of the Course
*** Lecture 2- Understanding of Filtrations and Measures
Lecture 3- The HJM Framework
Lecture 4- Yield Curve Dynamics under Short Rate
Lecture 5- Interest Rate Products
Lecture 6- Construction of Yield Curve and Multi-Curves
Lecture 7- Pricing of Swaptions and Negative Interest Rates
Lecture 8- Mortgages and Prepayments
Lecture 9- Hybrid Models and Stochastic Interest Rates
Lecture 10- Foreign Exchange (FX) and Inflation
Lecture 11- Market Models, Convexity Adjustments and Beyond
Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA)
Lecture 13- Historical VaR, SVaR and Expected Shortfall
Lecture 14- Summary of the Course
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